Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 17 19 18
Score 5 9.44 6.66
Market Cap (Millions USD) NA NA NA
Predicted Beta 0.16 0.15 0.15
Idiosyncratic Volatility 0.72 0.75 0.9

Annualized return and volatility

IARYX
Annualized Return 0.0864
Annualized Std Dev 0.3041
Annualized Sharpe (Rf=0%) 0.2842

Row

Daily Return Statistics

IARYX
Observations 2874.0000
NAs 2240.0000
Minimum -0.1805
Quartile 1 -0.0054
Median 0.0008
Arithmetic Mean 0.0005
Geometric Mean 0.0003
Quartile 3 0.0068
Maximum 0.1636
SE Mean 0.0004
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0012
Variance 0.0004
Stdev 0.0192
Skewness 0.3579
Kurtosis 18.6027

Downside Risk

IARYX
Semi Deviation 0.0134
Gain Deviation 0.0159
Loss Deviation 0.0162
Downside Deviation (MAR=210%) 0.0173
Downside Deviation (Rf=0%) 0.0132
Downside Deviation (0%) 0.0132
Maximum Drawdown 0.5672
Historical VaR (95%) -0.0233
Historical ES (95%) -0.0466
Modified VaR (95%) -0.0218
Modified ES (95%) -0.0218
From Trough To Depth Length To Trough Recovery
2008-10-03 2009-03-06 2010-04-05 -0.5672 384 110 274
2011-07-25 2011-10-03 2012-01-27 -0.2194 132 51 81
2013-05-22 2013-08-19 2014-05-30 -0.1700 264 63 201
2015-01-27 2016-02-11 2016-05-06 -0.1630 329 269 60
2010-05-04 2010-07-06 2010-09-20 -0.1617 98 44 54

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Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IARYX
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA NA NA NA NA
2001 NA NA NA NA NA NA NA NA NA NA NA NA NA
2002 NA NA NA NA NA NA NA NA NA NA NA NA NA
2003 NA NA NA NA NA NA NA NA NA NA NA NA NA
2004 NA NA NA NA NA NA NA NA NA NA NA NA NA
2005 NA NA NA NA NA NA NA NA NA NA NA NA NA
2006 NA NA NA NA NA NA NA NA NA NA NA NA NA
2007 NA NA NA NA NA NA NA NA NA NA NA NA NA
2008 NA NA NA NA NA NA NA NA NA 0.0 -18.0 0.0 -18.0
2009 0.0 0.0 -0.9 -3.8 3.5 0.9 0.0 -5.1 -4.1 0.0 1.2 0.0 -8.3
2010 1.7 0.7 0.4 0.0 -1.7 -0.1 0.0 3.0 0.5 0.7 0.8 0.0 6.1
2011 0.5 -2.9 0.2 0.0 -2.8 1.8 -1.6 -1.5 0.0 -3.6 -1.1 0.0 -10.4
2012 0.8 0.6 0.0 0.9 -2.6 0.0 -0.5 0.0 -0.8 0.1 0.0 0.0 -1.5
2013 0.4 0.5 0.2 -0.8 0.0 -0.6 -0.2 0.0 1.4 0.7 0.0 0.0 1.6
2014 0.0 0.0 0.5 0.5 0.0 0.3 -0.2 0.0 0.0 0.0 -0.4 0.0 0.7
2015 0.0 0.0 0.0 0.8 1.1 1.5 0.0 -2.0 0.4 0.0 1.3 0.0 3.1
2016 0.3 2.6 0.0 0.0 0.0 0.1 0.4 -0.2 0.0 -2.3 -1.5 0.0 -0.6
2017 -1.3 -0.3 0.0 0.7 0.6 0.0 0.4 0.0 0.0 0.1 0.1 0.0 0.3
2018 -1.8 -0.3 0.0 0.6 0.4 0.0 0.7 0.0 -0.9 0.4 0.0 0.0 -1.0
2019 -0.6 -0.1 -0.2 0.1 0.0 -0.2 0.0 0.0 -0.8 0.0 0.0 0.1 -1.6

Row

Rolling Performance Chart

Snail Trail Chart